Are you talking about differences from a performance standpoint or as a developer?
Personally, I use the standard mame compiling tools (mingw) when making a build that I'd use in my cabinet.
However, for development work on mame, I use visual studio 2005 because it's much more developer friendly than command line tools and a text editor. The debugger in particular makes it totally worth it.
As a side note, I believe it's good for the mame project to compile mame with as many different compilers as possible. Each compiler catches different errors and warns about different things and fixing as many of the errors and warnings as possible and submitting them back into the main source code base results in better code for everyone.